In continuous-time stochastic calculus a limit in probability is used to extend the definition of the stochastic integral to the case where the integrand is not square-integrable at the endpoint of the time interval under consideration. When the extension is applied to portfolio strategies,...

In continuous-time stochastic calculus a limit in probability is used to extend the definition of the stochastic integral to the case where the integrand is not square-integrable at the endpoint of the time interval under consideration. When the extension is applied to portfolio strategies,...

Cover -- Half-title -- Title -- Copyright -- Contents -- Foreword -- Preface -- Bibliography -- Part One Equilibrium and Arbitrage -- 1 Equilibrium in Security Markets -- 1.1 Introduction -- 1.2 Security Markets -- 1.3 Agents -- 1.4 Consumption and Portfolio Choice -- 1.5 First-Order Conditions...